SI 2015 Forecasting & Empirical Methods

Jonathan H. Wright and Allan Timmermann, Organizers

July 7-10, 2015

Royal Sonesta Hotel

Tuesday, July 7
8:30 am
8:30 am	Robust Inference in Structural VARs with Long-run Restrictions
9:15 am
9:15 am	Priors for the long run
10:30 am
10:30 am	Monetary Policy and Long-term Interest Rates
11:15 am
11:15 am	L1-Regularization of High Dimensional Time Series Models with Flexible Innovations
Wednesday, July 8
8:30 am
8:30 am	Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
9:15 am	Evaluating and Comparing Possibly Misspecified Forecasts
10:30 am
10:30 am	Melting Down: Systemic Financial Instability and the Macroeconomy
11:15 am
11:15 am	Modeling Contagion and Systemic Risk
Thursday, July 9
8:30 am	Robust Bond Risk Premia
9:15 am
9:15 am	Bond Risk Premia in Consumption Based Models
10:30 am
10:30 am	Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds
11:15 am
11:15 am	Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility
Friday, July 10
8:30 am
8:30 am	An Equilibrium Model of Institutional Demand and Asset Prices
9:15 am	Portfolio Choice under the APT with Model Misspecification
10:30 am
10:30 am	Jump Regressions
11:15 am
11:15 am	Bootstrapping High-Frequency Jump Tests